Estimation of Value-at-Risk for Energy Commodities via Fat-Tailed GARCH Models

doi:10.1016/j.eneco.2007.11.004

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/72462

請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/72462

題名:	Estimation of Value-at-Risk for Energy Commodities via Fat-Tailed GARCH Models
作者:	李命志;Hung, Jui-cheng;Lee, Ming-chih;Liu, Hung-chun
貢獻者:	淡江大學財務金融學系
關鍵詞:	VaR;GARCH-HT;energy commodities;MRSB;fat tails
日期:	2008-05
上傳時間:	2011-10-24 10:28:50 (UTC+8)
出版者:	Amsterdam: Elsevier BV * North-Holland
摘要:	The choice of an appropriate distribution for return innovations is important in VaR applications owing to its ability to directly affect the estimation quality of the required quantiles. This study investigates the influence of fat-tailed innovation process on the performance of one-day-ahead VaR estimates using three GARCH models (GARCH-N, GARCH-t and GARCH-HT). Daily spot prices of five energy commodities (WTI crude oil, Brent crude oil, heating oil #2, propane and New York Harbor Conventional Gasoline Regular) are used to compare the accuracy and efficiency of the VaR models. Empirical results suggest that for asset returns that exhibit leptokurtic and fat-tailed features, the VaR estimates generated by the GARCH-HT models have good accuracy at both low and high confidence levels. Additionally, MRSB indicates that the GARCH-HT model is more efficient than alternatives for most cases at high confidence levels. These findings suggest that the heavy-tailed distribution is more suitable for energy commodities, particularly VaR calculation. (c) 2007 Elsevier B.V. All rights reserved.
關聯:	Energy Economics 30(3), pp.1173-1191
DOI:	10.1016/j.eneco.2007.11.004
顯示於類別:	[財務金融學系暨研究所] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
Estimation of value-at-risk for energy commodities via fat-tailed GARCH models.pdf		439Kb	Adobe PDF	289	檢視/開啟
Estimation of Value-at-Risk for Energy Commodities via Fat-Tailed GARCH Models.pdf		439Kb	Adobe PDF	1	檢視/開啟

在機構典藏中所有的資料項目都受到原著作權保護.

TAIR相關文章

資料載入中.....